Citation for published version (APA): de Wit, E. R. (2011). Liquidity and price discovery in real estate assets Amsterdam: Thela Thesis

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1 UvA-DARE (Digital Academic Repository) Liquidity and price discovery in real estate assets de Wit, E.R. Link to publication Citation for published version (APA): de Wit, E. R. (2011). Liquidity and price discovery in real estate assets Amsterdam: Thela Thesis General rights It is not permitted to download or to forward/distribute the text or part of it without the consent of the author(s) and/or copyright holder(s), other than for strictly personal, individual use, unless the work is under an open content license (like Creative Commons). Disclaimer/Complaints regulations If you believe that digital publication of certain material infringes any of your rights or (privacy) interests, please let the Library know, stating your reasons. In case of a legitimate complaint, the Library will make the material inaccessible and/or remove it from the website. Please Ask the Library: or a letter to: Library of the University of Amsterdam, Secretariat, Singel 425, 1012 WP Amsterdam, The Netherlands. You will be contacted as soon as possible. UvA-DARE is a service provided by the library of the University of Amsterdam ( Download date: 06 Jan 2018

2 Bibliography [1] Abbring, J.H. and G.J. van den Berg (2003a), The Nonparametric Identification of Treatment Effects in Duration Models, Econometrica 71(5), [2] Abbring, J.H. and G.J. van den Berg (2003b), The Identifiability of the Mixed Proportional Hazards Competing Risks Model, Journal of the Royal Statistical Society Series B 65(3), [3] Albrecht, J., P. Gautier and S. Vroman (2010), Directed Search in the Housing Market, Tinbergen Institute, Working Paper. [4] Andrew, M. and G. Meen (2003), House Price Appreciation, Transactions and Structural Change in the British Housing Market: A Macroeconomic Perspective, Real Estate Economics 31(1), [5] Anglin, P., R. Rutherford, and T.M. Springer (2003), The Trade-off Between the Selling Price of Residential Properties and Time-on-the-Market: the Impact of Price Setting, Journal of Real Estate Finance and Economics 26(1), [6] Ball, M. (2009), RICS European Housing Review 2009, RICS, London. [7] Berkovec, J.A. and J.L. Goodman (1996), Turnover as a Measure of Demand for Existing Homes, Real Estate Economics 24(1), [8] Boelhouwer, P.J., M.E.A. Haffner, P. Neuteboom, and P. de Vries (2001), Koopprijsontwikkeling en de fiscale behandeling van het eigen huis, Technical Report, OTB Delft. [9] Caplin, A., and J. Leahy (1996), Trading Costs, Price, and Volume in Asset Markets, The American Economic Review 86(2), [10] Clayton, J., N. Miller, and L. Peng (2008), Price-volume Correlation in the Housing Market: Causality and Co-movements, Journal of Real Estate Finance and Economics 40(1),

3 118 BIBLIOGRAPHY [11] Coles, M.G. and E. Smith (1998), Marketplaces and Matching, International Economic Review 39(1), [12] Conijn, J. and F. Schilder (2009), How Housing Associations lose their value: the value gap in the Netherlands, ERES Conference Paper, Stockholm. [13] Den Reijer, A. (2006), The Dutch business cycle: which indicators should we monitor?, DNB Working Paper no [14] De Wit, E.R. (2010), Competing Risks in a Time-on-the-Market Analysis, Working Paper. [15] De Wit, E.R., K.G.P. Englund and M.K. Francke (2010), Price and Transaction Volume in the Dutch Housing Market, Tinbergen Institute, Working Paper. [16] De Wit, E.R. and van der Klaauw (2010), Asymmetric Information and List Price Reductions in the Housing Market, Tinbergen Institute, Working Paper. [17] Donald, S.G., D.A. Green and H.J. Paarsch (2000), Differences in Wage Distributions between Canada and the United States: An Application of a Flexible Estimator of Distribution Functions in the Presence of Covariates, The Review of Economic Studies 67(4), [18] Engelhardt, G.V. (2003), Nominal loss aversion, housing equity constraints, and household mobility: evidence from the United States, Journal of Urban Economics 53(1), [19] Francke, M.K., S. Vujić, and G.A. Vos, (2009), Evaluation of House Price Models Using an ECM Approach: The Case of the Netherlands, Working Paper, University of Amsterdam. [20] Genesove, D. and C. Mayer (1997), Equity and Time to Sale in the Real Estate Market, American Economic Review 87(3), [21] Genesove, D. and C. Mayer (2001), Loss Aversion and Selling Behavior: Evidence from the Housing Market, Quarterly Journal of Economics 116(4), [22] Glower, M., D.R. Haurin, and P.H. Hendershott (1998), Selling Price and Selling Time: The Impact of Seller Motivation, Real Estate Economics 26(4), [23] Harding, J.P., S.S. Rosenthal and C.F. Sirmans (2003), Estimating Bargaining Power in the Market for Existing Homes, The Review of Economics and Statistics 85(1), [24] Haurin, D. (1988), The Duration of Marketing Time of Residential Housing, Journal of the American Real Estate and Urban Economics Association 16(4), [25] Haurin, D.R., J.L. Haurin, T. Nadauld and A. Sanders (2006), List Prices, Sale Prices, and Marketing Time: An Application to U.S. Housing Markets, Working Paper.

4 BIBLIOGRAPHY 119 [26] Heckman, J.J. and B.E. Honoré (1989), The Identifiability of the Competing Risks Model, Biometrica 76(1), [27] Heckman, J. and B. Singer (1984), A Method for Minimizing the Impact of Distributional Assumptions in Econometric Models for Duration Data, Econometrica 52(2), [28] Horowitz, J.L. (1992), The Role of the List Price in Housing Markets: Theory and an Econometric Model, Journal of Applied Econometrics 7(2), [29] Hort, K. (2000), Prices and turnover in the market for owner-occupied homes, Regional Science and Urban Economics 30(1), [30] Huang, J. and R.B. Palmquist (2001), Environmental Conditions, Reservation Prices, and Time on the Market for Housing, Journal of Real Estate Finance and Economics 22(2), [31] Johansen, S. (1996), Likelihood-based inference in Cointegrated Vector Autoregressive Models, 2nd printing. Oxford University Press. [32] Knight, J.R. (2002), Listing Price, Time on Market, and Ultimate Selling Price: Causes and Effects of Listing Price Changes, Real Estate Economics 30(2), [33] Knight, J., C.F. Sirmans, and G. Turnbull (1994), List price signaling and buyer behavior in the housing market, Real Estate Economics 9(3), [34] Koning, M.A., R. Saitua and J. Ebregt (2006), Woningmarkteffecten van aanpassing fiscale behandeling eigen woning, CPB-Document (128), CPB, Den Haag. [35] Krainer, J. (2001), A Theory of Liquidity in Residential Real Estate Markets, Journal of Urban Economics 49(1), [36] Kranendonk, H. and J. Verbruggen (2008), Are houses overvalued in the Netherlands, Technical Report no. 200, Netherlands Bureau for Economic Policy Analysis. [37] Lancaster, T. (1990), The Econometric Analysis of Transition Data, Cambridge University Press, Cambridge. [38] Lazear, E.P. (1986), Retail Pricing and Clearance Sales, The American Economic Review 76(1), [39] Leung, C.K.Y. and D. Feng (2005), What Drives the Property Price-Trading Volume Correlation? Evidence from a Commercial Real Estate Market, Journal of Real Estate Finance and Economics 31(2), [40] Lütkepohl (2006), New Introduction to Multiple Time Series Analysis, Springer. [41] Merlo, A. and F. Ortalo-Magné (2004), Bargaining over residential real estate: evidence from England, Journal of Urban Economics 56(2),

5 120 BIBLIOGRAPHY [42] Miller, N.G. and M.A. Sklarz (1986), A Note on Leading Indicators of Housing Market Price Trends, Journal of Real Estate Research 1(1), [43] Ngai, R. and S. Tenreyro (2009), Hot and Cold Seasons in the Housing Market, Working Paper, London School of Economics. [44] Novy-Marx, R. (2009), Hot and Cold Markets, Real Estate Economics 37(1), [45] Olsen, E.O. (1969), A Competitive Theory of the Housing Market, The American Economic Review 59(4), [46] Ortalo-Magné, F. and S. Rady (1999), Boom in, bust out: Young households and the housing price cycle, European Economic Review 43, [47] Ortalo-Magné, F. and S. Rady (2004), Housing transactions and macroeconomic fluctuations: a case study of England and Wales, Journal of Housing Economics 13(4), [48] Ortalo-Magné, F. and S. Rady (2006), Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints, Review of Economic Studies 73(2), [49] OTB (2003), Homebuyers in Profile , OTB Research Institute for Housing, Urban and Mobility Studies. [50] Pryce, G. and K. Gibb (2006), Submarket Dynamics of Time to Sale, Real Estate Economics 34(3), [51] Romijn, G. and P. Besseling (2008), Economische effecten van regulering en subsidiëring van de huurwoningmarkt, CPB-Document 168, CPB, The Hague. [52] Rosen, S. (1974), Hedonic Prices and Implicit Markets: Product Differentiation in Pure Competition, The Journal of Political Economy 82(1), [53] Rosenthal, L. (2006), Efficiency and Seasonality in the UK Housing Market, , Oxford Bulletin of Economics and Statistics 68(3), [54] Said, S.E. and D. A. Dickey (1984), Testing for unit roots in autoregressivemoving average models of unknown order, Biometrika 71(3), [55] Sims, C.A. and T. Zha (1999), Error bands for impulse responses, Econometrica 67(5), [56] Stein, J. (1995), Prices and Trading Volume in the Housing Market: A Model with Down-payment Constraints, Quarterly Journal of Economics 110(2), [57] Swank, J., J. Kakes and A. Tieman (2002), The Housing ladder, Taxation, and Borrowing Constraints, DNB Working Paper 2002(9), De Nederlandsche Bank, Amsterdam.

6 BIBLIOGRAPHY 121 [58] Taylor, C.R. (1999), Time-on-the-Market as a Sign of Quality, The Review of Economic Studies 66(3), [59] Van Ewijk, C. and H. ter Rele (2008), Macro-economische verkenning van de huizenmarkt, in F.J.H. Don (ed.), Agenda voor de woningmarkt, Koninklijke Vereniging voor de Staathuishoudkunde, Preadviezen [60] Vermeulen, W., and J. Rouwendal (2007), Housing Supply in the Netherlands, CPB Discussion Paper 87, The Hague: CPB. [61] Wheaton, W.C. (1990), Vacancy, Search, and Prices in a Housing Market Matching Model, The Journal of Political Economy 98(6), [62] Wheaton, W.C. and N.J. Lee (2009), The Co-Movement of Housing Sales and Housing Prices: Empirics and Theory, paper presented at the ASSA meeting, San Francisco, January [63] Yavas, A. and S. Yang (1995), The Strategic Role of Listing Price in Marketing Real Estate: Theory and Evidence, Real Estate Economics 23(3), [64] Zuehlke, T.W. (1987), Duration Dependence in the Housing Market, The Review of Economics and Statistics 69(4),

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